Exosomes are nanosized extracellular vesicles of endosomal origin that enclose a multitude of functional biomolecules. Exosomes have emerged as key players of intercellular communication in physiological and pathological conditions. In cancer, depending on the context, exosomes can oppose or potentiate the development of an aggressive tumor microenvironment, thereby impacting tumor progression and clinical outcome. Increasing evidence has established exosomes as important mediators of immune regulation in cancer, as they deliver a plethora of signals that can either support or restrain immunosuppression of lymphoid and myeloid cell populations in tumors. Here, we review the current knowledge related to exosome‐mediated regulation of lymphoid (T lymphocytes, B lymphocytes, and NK cells) and myeloid (macrophages, dendritic cells, monocytes, myeloid‐derived suppressor cells, and neutrophils) cell populations in cancer. We also discuss the translational potential of engineered exosomes as immunomodulatory agents for cancer therapy.